Showing papers by "Federal Reserve Bank of St. Louis published in 1995"
TL;DR: In this paper, the authors identify the characteristics that make individual U.S. banks more likely to fail or be acquired and use bank-specific information to estimate competing-risks hazard models with time-varying covariates.
Abstract: This paper seeks to identify the characteristics that make individual U.S. banks more likely to fail or be acquired. We use bank-specific information to estimate competing-risks hazard models with time-varying covariates. We use alternative measures of productive efficiency to proxy management quality, and find that inefficiency increases the risk of failure while reducing the probability of a bank's being acquired. Finally, we show that the closer to insolvency a bank is (as reflected by a low equity-to-assets ratio) the more likely is its acquisition.
703 citations
TL;DR: This article investigated the relationship between inflation and real output in a large sample of postwar economies and found that a permanent shock to inflation is not associated with a permanent movement in the level of real output for most countries in their sample.
322 citations
TL;DR: In this paper, the authors examine the effects of introducing actuarially fair annuity markets into an overlapping generations model of endogenous growth, and show that the degree of annuitisation that is dynamically optimal depends on the expected length of retirement and on the pay-as-you-go social security tax rate.
Abstract: We examine the effects of introducing actuarially fair annuity markets into an overlapping
generations model of endogenous growth. The complete annuitisation of agents' wealth is not, in
general, dynamically optimal; the degree of annuitisation that is dynamically optimal depends
nonmonotonically on the expected length of retirement and on the pay-as-you-go social security tax
rate. The government has an incentive to restrict the availability of actuarially fair annuities
contracts, and can often move the economy from a pay-as-you-go to a fully-funded social security
system via voluntary contributions to a government sponsored, actuarially fair pension today
accompanied by reductions in social security taxes tomorrow.
78 citations
TL;DR: In this article, the authors extended McCallum's (1987) nominal targeting rule to a small open economy by allowing for feedback from the exchange rate, using a Markov switching model.
49 citations
TL;DR: In this paper, the authors relax the perfect-foresight assumption and examine how a population of artificial, heterogeneous adaptive agents might learn to coordinate on a general-equilibrium environment.
Abstract: We investigate the extent to which agents can learn to coordinate on
stationary perfect-foresight cycles in a general-equilibrium environment.
Depending on the value of a preference parameter, the limiting backward
(direction of time reversed) perfect-foresight dynamics are characterized by
steady-state, periodic, or chaotic trajectories for real money balances. We relax the perfect-foresight assumption and examine how a population of
artificial, heterogeneous adaptive agents might learn in such an
environment. These artificial agents optimize given their forecasts of
future prices, and they use forecast rules that are consistent with steady-state or periodic trajectories for prices. The agents' forecast rules are
updated by a genetic algorithm. We find that the population of artificial
adaptive agents is able eventually to coordinate on steady state and low-order cycles, but not on the higher-order periodic equilibria that exist
under the perfect-foresight assumption.
48 citations
TL;DR: In this paper, a business cycle model with impulses to technology and a role for money is used to show how alternative money supply rules are expected to affect observed business cycle facts, while changes in the money supply rule have almost no effect on the cyclical behavior of real variables.
8 citations
Abstract: The primary objective of bank regulation is to foster a banking industry that meets the financial needs of communities and promotes economic growth while operating in a safe manner. It is important to determine whether the federal government's objectives for bank supervision and regulation include the channeling of credit through commercial banks to the agricultural sector. The history of federal legislation on farm credit indicates a federal mandate to channel credit to the farm sector.
6 citations
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TL;DR: This paper found that a model that incorporates Federal Reserve behavior and a reasonable parameterization of term premia is consistent with empirical results, and they also found that such a model is more consistent with the rational expectations hypothesis of term structure.
Abstract: Most empirical studies of the rational expectations hypothesis of the term structure find that the data offer little support for the theory. This observation has led some investigators to search for alternative “irrational” theories of behavior in order to explain the data. The authors, on the other hand, find that a model that incorporates Federal Reserve behavior and a reasonable parameterization of term premia is consistent with empirical results.
4 citations
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TL;DR: In this article, the authors examine the effects of introducing actuarially fair annuity markets into an overlapping generations model of endogenous growth and find that the complete annuitization of agents' wealth is not, in general, dynamically optimal; that the degree of annuitisation that is dynamically optimal depends nonmonotonically on the expected length of retirement and on the pay-as-you-go social security tax rate.
Abstract: In this paper, we examine the effects of introducing actuarially fair annuity markets into an overlapping generations model of endogenous growth. We find the complete annuitization of agents' wealth is not, in general, dynamically optimal; that the degree of annuitization that is dynamically optimal depends nonmonotonically on the expected length of retirement and on the pay-as-you-go social security tax rate. We find that the government has an incentive to restrict the availability of actuarially fair annuities contracts, and that it can often move the economy from a pay-as-you-go to a fully-funded social security system via voluntary contributions to a government sponsored, actuarially fair pension today accompanied by reductions in social security taxes tomorrow.
1 citations